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From |
rgates@stata.com (Richard Gates) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: -nlogit- question |

Date |
Fri, 29 Feb 2008 09:59:26 -0600 |

Jared Gross is inquiring about the use of -nlogit-: > I'm trying to use the nlogit command in Stata 10 to estimate a > degenerate model of mergers and acquisitions. Unfortunately, > I keep getting the error: > "no cases remain after removing invalid observations." > My data looks like the following: > > Ticker Year Covariates GoesPrivate PublicTakeover Event ContinuesIndep > A 1999 x 0 0 0 1 > A 2000 x 0 1 1 0 > B 1998 y 0 0 0 1 > B 1999 z 0 0 0 1 > B 2000 z 1 0 2 0 > > > And the model I want to estimate is: > > Company either (1) has ContinuesIndependently == 1 OR (2) is subject > to Event == 1 | Event == 2 > > If Event == 1 | Event == 2, then either (A) GoesPrivate == 1 OR (B) > PublicTakeover == 1, so that I have a nested model in which the first > logit determines whether a company continues <in my data> to the next > year or exits through "Takeover" (i.e. Event == 1 | Event == 2); and > then a second, degenerate stage in which the company, if Takeover == 1, > either GoesPrivate == 1 or PublicTakeover == 1. > > How do I estimate this? I tried to use the following commands: > > > . egen id = group(ticker) > . nlogitgen takeoverType = Event(Cont: 0, takeover: 1|2) > . nlogit GoesPrivate covariates || takeoverType: other_covariates, > + base(cont) ||, case(id) The alternatives variable should be the Event variable and it should be specified after the last || in the -nlogit- model specification. I believe the hierarchy should look like the following takeovertype Event ------------------------------ takeover |------ 2 (private) |------ 1 (public) Cont ------ 0 (degenerate) For each case coded in the -id- variable one event must occur which is coded in the dependent variable as an indicator. The dependent variable specified in this model is -GoesPrivate- an indicator for Event==2 (I think) so this does not look valid. I am thinking the model specification should look something like: . nlogit choice covariates || takeoverType: other_covariates, > base(Cont) || Event:, case(id) There must be another variable in his data set that indicates which Event did occur. I hope this helps. -Rich rgates@stata.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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